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ArticleGeneralized risk premia

Paul Georg Schneider2015

Article2015

Generalized risk premia

Paul Georg Schneider

43 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 2000Conditional Skewness in Asset Pricing Tests 1978Prices of State-Contingent Claims Implicit in Option Prices 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options 2008Variance Risk Premiums 1992Stochastic Differential Utility 2003Affine processes and applications in finance 1997Assessing Specification Errors in Stochastic Discount Factor Models

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2018Divergence and the Price of Uncertainty*2020Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk 2019Product Market Competition and Option Prices 2019Skewness preference and the popularity of technical analysis

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Details

Year2015

Typearticle

Published2015-03-06

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations43

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2015.03.003

openalex_workW3122593597

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